Feature extraction and classification of EEG signals are core parts of brain computer interfaces (BCIs). Due to the high dimension of the EEG feature vector, an effective feature selection algorithm has become an integral part of research studies. In this paper, we present a new method based on a wrapped Sparse Group Lasso for channel and feature selection of fused EEG signals. The high-dimensional fused features are firstly obtained, which include the power spectrum, time-domain statistics, AR model, and the wavelet coefficient features extracted from the preprocessed EEG signals. The wrapped channel and feature selection method is then applied, which uses the logistical regression model with Sparse Group Lasso penalized function. The model is fitted on the training data, and parameter estimation is obtained by modified blockwise coordinate descent and coordinate gradient descent method. The best parameters and feature subset are selected by using a 10-fold cross-validation. Finally, the test data is classified using the trained model. Compared with existing channel and feature selection methods, results show that the proposed method is more suitable, more stable, and faster for high-dimensional feature fusion. It can simultaneously achieve channel and feature selection with a lower error rate. The test accuracy on the data used from international BCI Competition IV reached 84.72%.
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